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Rank

Predicted Beta

Idiosyncratic Volatility

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Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 8 8 8
Score 3.71 4.61 3.9
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.41 0.41 0.4
Idiosyncratic Volatility 0.71 0.71 0.71

Annualized return and volatility

MEIKX
Annualized Return 0.0734
Annualized Std Dev 0.1873
Annualized Sharpe (Rf=0%) 0.3920

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Daily Return Statistics

MEIKX
Observations 3497.0000
NAs 1617.0000
Minimum -0.0958
Quartile 1 -0.0037
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0054
Maximum 0.1257
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0118
Skewness -0.2122
Kurtosis 14.3476

Downside Risk

MEIKX
Semi Deviation 0.0086
Gain Deviation 0.0086
Loss Deviation 0.0100
Downside Deviation (MAR=210%) 0.0132
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.5582
Historical VaR (95%) -0.0179
Historical ES (95%) -0.0294
Modified VaR (95%) -0.0163
Modified ES (95%) -0.0169
From Trough To Depth Length To Trough Recovery
2007-10-10 2009-03-09 2013-01-24 -0.5582 1355 364 991
2018-01-29 2018-12-24 2019-06-20 -0.1992 357 233 124
2015-07-17 2016-02-11 2016-04-19 -0.1284 194 148 46
2007-07-16 2007-08-15 2007-10-05 -0.0922 60 23 37
2006-05-11 2006-06-13 2006-09-05 -0.0801 82 23 59

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Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec MEIKX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA NA NA NA
2003 NA NA NA NA NA NA NA NA NA NA NA NA NA
2004 NA NA NA NA NA NA NA NA NA NA NA NA NA
2005 NA NA NA NA NA NA NA NA NA NA NA NA NA
2006 NA NA NA -0.3 1.0 0.0 -0.4 0.5 0.0 -0.3 -0.3 0 0.2
2007 0.9 -0.1 0.0 0.3 0.3 0.0 0.8 0.0 1.4 -2.8 0.0 0 0.8
2008 1.3 0.0 3.5 1.6 0.0 0.3 -0.6 0.0 -0.7 0.0 -9.0 0 -3.9
2009 0.0 0.0 1.7 0.9 2.0 0.6 0.0 -1.9 -2.2 0.0 1.3 0 2.3
2010 1.3 0.8 0.8 0.0 -1.6 -0.1 0.0 2.9 0.6 0.0 2.0 0 6.8
2011 1.6 -1.3 0.5 0.0 -2.2 1.3 -0.6 -1.2 0.0 -3.0 -0.4 0 -5.3
2012 1.1 0.7 0.0 0.5 -2.4 0.0 -0.2 0.0 0.6 1.0 0.0 0 1.3
2013 0.9 0.1 -0.4 -0.8 0.0 0.6 1.3 0.0 0.6 0.4 0.0 0 2.7
2014 0.0 0.0 0.3 -0.1 0.0 0.7 -0.4 0.0 -1.2 0.0 -0.4 0 -1.2
2015 0.0 0.0 -0.4 0.8 0.0 1.0 0.0 -2.9 0.0 0.0 0.8 0 -0.7
2016 -0.2 2.2 0.6 0.0 0.2 0.2 -0.2 0.0 0.0 -0.5 0.2 0 2.6
2017 -0.2 1.5 0.0 0.0 0.9 0.0 0.2 0.1 0.0 0.1 -0.1 0 2.5
2018 0.2 -1.5 0.0 -0.1 0.9 0.0 -0.7 0.0 0.5 0.8 0.0 0 0.1
2019 0.3 0.7 1.2 -0.7 0.0 0.7 -1.0 0.0 -1.5 0.9 0.0 0 0.4

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Rolling Performance Chart

Snail Trail Chart